Retorno e previsões
Log de Retornos
Carregamos os dados:
Visualizando os dados dos nossos últimos retornos dos preços, temos:
Modelagem com fpp3 e validação cruzada temporal
Precisaremos fazer um forecasting de curto prazo com nossos dados históricos de retornos pra formularmos nossas recomendações posteriores de compra, venda e espera:
- Vamos começar com uma série por vez \(\Rightarrow\) SAP
War models
Selecionamos o melhor modelo (1 fold de validação cruzada somente):
Warning: The future dataset is incomplete, incomplete out-of-sample data will be treated as missing.
662 observations are missing between 2025-01-01 and 2026-12-31Gero um cenário com o modelo:
Plotamos os forecasts com esse modelo pra três cenários distintos no futuro:
Warning: 1 error encountered for AjusteExp
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_aditivo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_multiplicativo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Croston
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltWinters
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Holt
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltAmort
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Snaive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Naive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Media_Movel
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA_saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_012011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_210011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_0301012
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_quad
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_determ
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_estocastico
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_dinamica
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_MultSaz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_Saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Modelo_VAR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Random_Walk
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Rede_Neural_AR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: There were 2 warnings in `mutate()`.
The first warning was:
ℹ In argument: `Regr_Comp = (function (object, ...) ...`.
Caused by warning:
! prediction from a rank-deficient fit may be misleading
ℹ Run `dplyr::last_dplyr_warnings()` to see the 1 remaining warning.3 sec elapsedWarning: The future dataset is incomplete, incomplete out-of-sample data will be treated as missing.
662 observations are missing between 2025-01-01 and 2026-12-31
Warning: 1 error encountered for AjusteExp
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_aditivo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_multiplicativo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Croston
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltWinters
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Holt
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltAmort
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Snaive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Naive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Media_Movel
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA_saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_012011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_210011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_0301012
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_quad
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_determ
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_estocastico
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_dinamica
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_MultSaz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_Saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Modelo_VAR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Random_Walk
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Rede_Neural_AR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: There were 2 warnings in `mutate()`.
The first warning was:
ℹ In argument: `Regr_Comp = (function (object, ...) ...`.
Caused by warning:
! prediction from a rank-deficient fit may be misleading
ℹ Run `dplyr::last_dplyr_warnings()` to see the 1 remaining warning.2.66 sec elapsed
Warning: 1 error encountered for AjusteExp
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_aditivo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_multiplicativo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Croston
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltWinters
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Holt
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltAmort
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Snaive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Naive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Media_Movel
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA_saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_012011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_210011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_0301012
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_quad
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_determ
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_estocastico
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_dinamica
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_MultSaz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_Saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Modelo_VAR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Random_Walk
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Rede_Neural_AR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: There were 2 warnings in `mutate()`.
The first warning was:
ℹ In argument: `Regr_Comp = (function (object, ...) ...`.
Caused by warning:
! prediction from a rank-deficient fit may be misleading
ℹ Run `dplyr::last_dplyr_warnings()` to see the 1 remaining warning.2.2 sec elapsed
Warning: 1 error encountered for AjusteExp
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_aditivo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for AjExp_multiplicativo
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Croston
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltWinters
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Holt
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for HoltAmort
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Snaive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Naive
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Media_Movel
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for autoARIMA_saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_012011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_210011
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_saz_0301012
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_quad
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_determ
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for ARIMA_estocastico
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_dinamica
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_MultSaz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Regr_Harm_Din_Saz
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Modelo_VAR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Random_Walk
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: 1 error encountered for Rede_Neural_AR
[1] .data contains implicit gaps in time. You should check your data and convert implicit gaps into explicit missing values using `tsibble::fill_gaps()` if required.Warning: There were 2 warnings in `mutate()`.
The first warning was:
ℹ In argument: `Regr_Comp = (function (object, ...) ...`.
Caused by warning:
! prediction from a rank-deficient fit may be misleading
ℹ Run `dplyr::last_dplyr_warnings()` to see the 1 remaining warning.2.48 sec elapsed